When I start (or restart) Sublime Text, and switch between the Find modes (find in current document, find in files, find / replace), the following options are automatically set for each find panel:
Find: Wrap, Highlight Matches
Find / Replace: Wrap, Highlight Matches
Find in Files: Show Context, Use Buffer
Toggling any of these off and on, or selecting other options, then closing and restarting Sublime causes the above options to be set back again.
The other scenario where it occurs is for the Find in Files panel. If I deselect the above active options, or activate other options on this panel, then switch to another find type (eg. Find / Replace), then back to Find in Files, it goes back to the two original options listed above.
I'm on Mac OS X Lion with Build 2120.